You will need a file-archiving extractor in order to open it; WinRar is the most recommendable one for PRO. Once you have downloaded it, extract all of its contents into a new folder.
All download links itemized here are reputable; therefore, if your anti-virus program(s) and/or Firewall are flagging it as harmful, you can consider it a false positive. Try another one of the mirrors if that is the case, or add the program as an exception to your Firewall and/or anti-virus program.
Whenever a new client update occurs, it will be automatically updated when you use a Windows OS else you will need to re-download the client to have the most up-to-date components.
Since the release of Unity 2019.3, Unity now supports IL2CPP for Linux, thus the Developers have decided to make a Linux client. As this client is "new", issues may arise. If there are any issues feel free to ask for assistance on PRO's official forums